sensors

Article
Measurement Noise Recommendation for Efficient
Kalman Filtering over a Large Amount of Sensor Data
Sebin Park, Myeong-Seon Gil, Hyeonseung Im * and Yang-Sae Moon
Department of Computer Science, Kangwon National University, Chuncheon-si, Gangwon-do 24341, Korea;
sebinpark@kangwon.ac.kr (S.P.); gils@kangwon.ac.kr (M.-S.G.); ysmoon@kangwon.ac.kr (Y.-S.M.)
* Correspondence: hsim@kangwon.ac.kr; Tel.: +82-33-250-8441




Received: 28 January 2019; Accepted: 2 March 2019; Published: 7 March 2019


Abstract: To effectively maintain and analyze a large amount of real-time sensor data, one often
uses a filtering technique that reflects characteristics of original data well. This paper proposes a
novel method for recommending the measurement noise for Kalman filtering, which is one of the
most representative filtering techniques. Kalman filtering corrects inaccurate values of input sensor
data, and its filtering performance varies depending on the input noise parameters. In particular,
if the noise parameters determined based on the user’s experience are incorrect, the accuracy of
Kalman filtering may be reduced significantly. Based on this observation, this paper addresses
how to determine the measurement noise variance, a major input parameter of Kalman filtering,
by analyzing past sensor data and how to use the estimated noise to improve the filtering accuracy.
More specifically, to estimate the measurement noise variance, two analytical methods are proposed:
one a transform-based method using a wavelet transform and the other a learning-based method
using a denoising autoencoder. Experimental results show that the proposed methods estimated
the measurement noise variance accurately and were superior to the experience-based method in the
filtering accuracy.

Keywords: kalman filtering; measurement noise; sensor data; filtering accuracy; wavelet transform;
denoising autoencoder

1. Introduction
Recent developments in sensor-based technologies such as 5G communications and IoT (Internet
of Things) have increased innovative applications such as smart factories, smart cities, and wearable
devices [1–3]. Since these smart applications generate a huge amount of sensor data, one needs an
effective filtering process to extract meaningful information from those massive data [4,5]. Filtering is
often used to refine the original data by removing unnecessary information or reducing the amount
of data. Among various filtering techniques, this paper aims to improve the performance of Kalman
filtering [6–8], which is widely used for noise reduction and correction of sensor data, for example,
in the field of computer vision, signal processing, and robotics due to its nice optimality property
under certain conditions.
Kalman filtering is an unsupervised filtering algorithm specialized to sensor data [9],
which adjusts the currently measured sensor value by considering the past sensor data, for example,
to reduce the noise in the measured value. Since it can provide values closer to the actual sensor values
(without noise) than the simple measurement values, one often uses a Kalman filter to remove the noise
of sensor data or to predict the next sensor values. Kalman filtering operates in two steps: prediction
and update. First, in the prediction step, it estimates the next value to be measured from the current
sensor based on the past sensor data. Next, in the update step, it refines the estimated value in the
prediction step using the measured value at the present time, to obtain a value closer to the actual one.

Sensors 2019, 19, 1168; doi:10.3390/s19051168 www.mdpi.com/journal/sensors

Sensors 2019, 19, 1168 2 of 19

This paper focuses on the input parameters used in Kalman filtering. Among many input
parameters, the noise information of the sensor largely affects the filtering performance, and users
normally determine the noise information based on their experience and knowledge on the sensor
data. In particular, the measurement noise (co)variance is a representative parameter of the Kalman filter,
and the expert usually estimates it from analyzing the complicated specification of sensing equipment.
However, it is very difficult for ordinary users to understand accurate noise information included in
the measurement process of the sensor. Thus, most users use an arbitrary value (mostly, close to 0) as
the measurement noise variance, which is a major cause of a significant decrease in the accuracy of
Kalman filtering. Moreover, these inaccurate predictions continue to accumulate and thus the user will
continue to obtain inaccurate filtering results. To solve this problem, a novel method of estimating the
measurement noise variance directly from input sensor data is proposed so that the user can effectively
use Kalman filtering even when the sensor equipment do not provide any noise information.
For accurate estimation of the measurement noise variance, this paper proposes analytical methods
analyzing past sensor data. In general, sensor data contain not only actual values but also the noise
generated during the measurement process, and the noise value may vary by various factors such
as individual sensors accuracy and the measurement environment. Obviously, if one can correctly
estimate the measurement noise variance from the measured sensor values, they can obtain a more
accurate filtering result than using an arbitrary value as the variance. To this end, this paper proposes
transform-based and learning-based methods for estimating the measurement noise variance based on
input sensor data.
First, the transform-based method uses wavelet transforms [10,11]. Briefly speaking, this approach
applies the transform to sensor data and then uses the difference between the transformed data and
the original sensor data as the measurement noise. Since a wavelet transform has the characteristics of
removing the noise from sensor data, using this property, the noise included in the sensor data can
inversely be estimated. A wavelet transform is widely used to analyze the global and regional trends
of sequence data by extracting frequency characteristics of the data. In this paper, the Daubechies
wavelet [12] is used as it is one of the most commonly used wavelets.
Second, the learning-based method uses denoising autoencoders [13–15]. A denoising autoencoder is
an artificial neural network that can estimate the original data from the measured data containing noise.
Thus, by using a denoising autoencoder, the original data and the noise data can be separated from the
measured data, and, as a result, the noise data can be used as the measurement noise. In this paper,
a denoising autoencoder is constructed with multiple convolution layers to improve the estimation
accuracy of the measurement noise variance.
Extensive experiments on real datasets showed that the proposed analytical methods significantly
outperformed the arbitrary noise variance selection method. First, in the experiment on Kalman
filtering accuracy, our recommendation-based methods performed filtering up to 2.5 times more
accurately than the arbitrary noise variance selection method. Next, in the experiment on estimation
accuracy of the measurement noise variance, the proposed methods estimated the measurement noise
variance accurately. Based on these experimental results, it is concluded that the proposed analytical
methods are useful not only for ordinary users but also for experts to easily determine the measurement
noise variance of Kalman filtering and improve the filtering accuracy of sensor data.
The main contributions of the paper are summarized as follows:

• To estimate the measurement noise variance accurately, two analytical methods are proposed:
one a transform-based method using a wavelet transform and the other a learning-based method
using a denoising autoencoder.
• A practical approach for Kalman filtering for streaming data is presented, which exploits the
recommended measurement noise variance by the proposed methods.
• Through extensive experiments on real datasets, the effectiveness of the proposed methods was
validated, and it was shown that they estimated the measurement noise variance accurately.
Sensors 2019, 19, 1168 3 of 19

The rest of the paper is organized as follows. Section 2 describes the related work on Kalman
filtering, wavelet transforms, and denoising autoencoders. It also reviews the previous work on
recommending parameters in Kalman filtering. Section 3 discusses the difficulty in using Kalman
filtering and proposes an analytical approach of using the recommended measurement noise variance
as a solution. Section 4 formally explains our analytical methods of estimating the measurement noise
variance. Section 5 provides the experimental results to show the superiority of the proposed methods.
Finally, Section 6 concludes and discusses future work.

2. Related Work

2.1. Kalman Filtering

Kalman filtering [6] is used to correct noisy time-series data [16,17] by expressing the data as a
state space model and applying probabilistic estimation to the model. It is often used to remove the
noise from sensor data or estimate the next sensor values. For example, one can use Kalman filtering
in a power measurement process to remove high noise in raw voltage data. It can also be used to
estimate non-measured measurements from other measured measurements, for instance, to estimate
the velocity from location measurements of a navigation system. In particular, when the Kalman filter
is used for noise reduction, it aims to minimize the error between the actual value having no noise and
the corrected value. Since Kalman filtering uses past data recursively, one can expect more accurate
results than a filtering method based only on incoming measurements. In addition, as it processes new
measurement data quickly, it is suitable for handling continuously generated sensor data.
To use Kalman filtering, one needs to build state equations such as in Equation (1) where the true
state xt at time t is assumed to be derived from the previous state xt−1 according to xt = Ft xt−1 + wt ,
and a measurement zt of the true state xt is assumed to be made according to zt = Ht xt + vt . Then,
Kalman filtering estimates the true state in two steps. First, it predicts the (a priori) state estimate x̂t−
from the previous state estimate x̂t−1 , and next it updates x̂t− by using the current measurement zt to
obtain the (a posteriori) state estimate x̂t as shown in Equation (2). For more details on the working
mechanism, equations, and parameters of Kalman filtering, the reader is referred to [6,18–20].

 xt : true state at time t (a vector of real numbers)



zt : measurement at time t (or observation)


( 


xt = Ft xt−1 + wt  F : state transition model applied to x
t t −1
, where (1)
zt = Ht xt + vt 

 Ht : observation model

Qt : process noise (co)variance, wt ∼ N (0, Qt )






 R : measurement noise (co)variance, v ∼ N (0, R )
t t t


− T − T −1
Kt = Pt Ht ( Ht Pt Ht + Rt )
( 
x̂t− = Ft x̂t−1

Predict : , Correct : x̂t = x̂t− + Kt (zt − Ht x̂t− ) (2)
Pt− = Ft Pt−1 FtT + Qt 
 P = ( I − K H ) P− ( I − K H ) T + K R K T

t t t t t t t t t

To use Kalman filtering correctly, the user needs to input detailed information about the
sensor data. In particular, the process noise (co)variance Q and the measurement noise (co)variance
R in Equation (1) are important parameters for determining the performance of the Kalman filter.
The process noise can be thought of as being generated by the external environment such as ultraviolet
rays and wind, and the domain expert may determine the value, but usually one uses a value close
to zero. In contrast, the measurement noise comes from the measuring device, and it is difficult for
an ordinary user, who has no or little knowledge about the device, to obtain the correct value of the
measurement noise variance R. If R is unknown, the user simply uses an experience-based arbitrary
value, which might significantly degrade the filtering accuracy. To solve this problem, in this paper,
Sensors 2019, 19, 1168 4 of 19

an analytical method is proposed, which estimates the measurement noise variance R by analyzing
past sensor data and recommends the estimated value to the user when R is not given.
There have been a number of research efforts on estimating the parameter values of Kalman
filtering. Mehra [21] estimated the process noise covariance Q and the measurement noise covariance
R by using the innovation property of an optimal filter [22] and by iteratively solving a set of equations.
Godbole [23] extended the result of Mehra’s work [21] to the case where the means of Q and R are
unknown. Lee [24] proposed a more direct approach based on a correlation method to reduce the
computational complexity. Bulut et al. [25] reviewed and compared the classical innovations and
output covariance techniques to estimate Q and R from the measured data. Although similar in spirit
to our work in that they also estimate noise information from past data, all these approaches require
long computation time due to a large number of equations to solve. Moreover, they are not applicable
if the number of unknown variables is greater than the number of equations required for estimation.
Thus, it is difficult for ordinary users to use these methods practically. In contrast, our proposed
methods depend only on the available sensor data and can be applied even to a small amount of data.
Several Bayesian approaches have also been proposed for adaptive Kalman filtering [26]. To name
a few, Särkkä and Nummenmaa [27] proposed a recursive algorithm for estimating the time-varying
measurement noise covariance based on variational Bayesian methods [28]. Their method, however,
assumes an accurate process noise covariance and its performance will degrade if it uses an inaccurate
process noise covariance. Recently, Huang et al. [29] and Sun et al. [30] proposed a variational Bayesian
adaptive Kalman filter with inaccurate process and measurement noise covariances, where the
time-varying measurement noise covariance can be inferred by choosing inverse Wishart priors.
All these variational Bayesian approaches involve fixed point iterations to infer the measurement noise
covariance at each time step. In contrast, in this paper, a simpler approach is taken based on wavelet
transforms and denoising autoencoders, which can estimate the time-varying measurement noise
variance in real time without fixed point iterations.

2.2. Wavelet Transforms

In this paper, as a transform-based method for estimating the measurement noise variance,
a wavelet transform is used. A wavelet transform is widely used in various signal processing
applications including noise removal, image compression, and sound compression. It converts a signal
from a time-series domain into a frequency domain and uses the extracted frequency components
instead of time-series data. For example, the integral wavelet transform of f (t), given a basis function
ψ with a scale parameter s and a translating parameter u, is defined as follows [31]:
Z ∞
1 ∗ t−u
 
W f (u, s) = f (t) √ ψ dt (3)
−∞ s s
where ∗ in ψ∗ denotes the complex conjugate operator. As a basis function of the wavelet transform,
sine and cosine functions as well as Haar and Daubechies can be used. The result of the wavelet
transform is largely divided into a high frequency part and a low frequency part, where the high
frequency part represents the details about the input data such as abrupt changes or discontinuities,
and the low frequency part represents the coarse structure or the approximation of the input data.
By exploiting the high frequency part from the transform result in estimating the measurement noise
variance, the filtering accuracy of the Kalman filter can be improved. For a detailed description of
wavelet transforms, the reader is referred to [31].
Figure 1 shows an example of applying wavelet transforms to sensor data. The first column
of the figure shows two raw datasets that contain noise data: (1) power data of UCI (University of
California, Irvine) repository [32]; and (2) temperature data of Gori nuclear plant [33]. The second
column shows the results of estimating the original data by applying wavelet transforms to the raw
noisy data. As shown in the figure, the wavelet transforms generate the original data by sufficiently
reflecting the tendency of the input data and at the same time by removing the noise from the raw data.
Sensors 2019, 19, 1168 5 of 19

Therefore, in this paper, wavelet transforms are used, which are simple and efficient, for estimating the
measurement noise variance for Kalman filtering.

Figure 1. An example of applying wavelet transforms to sensor data.

2.3. Denoising Autoencoders

Our learning-based approach uses denoising autoencoders [13], which are often used in image and
signal processing and data preprocessing. A denoising autoencoder is a kind of autoencoders [34,35],
which is an artificial neural network that can estimate the original data by removing the noise from
noisy data. A conventional autoencoder is a neural network that generates an output from an input
over the corresponding model, and it consists of an encoder and a decoder. In general, the encoder
gets the data x and learns its features by dimensionality reduction, and the decoder tries to restore
the data x from the encoded features. As shown in Figure 2, a denoising autoencoder maintains an
encoder–decoder structure as in the conventional autoencoder, but it uses corrupted data as input for
the encoder, while the loss of the model is computed using the original data without noise. This method
basically assumes that the characteristics representing the input data can be reliably extracted even in
the presence of noise [13].

Figure 2. The overall structure of a denoising autoencoder.

The working mechanism shown in Figure 2 is as follows. First, noise is added to the original input
x to create a noisy input x̃. Then, the generated noisy input x̃ is provided to a neural network model
and the encoding–decoding process is performed. Equation (4) is an encoding expression in which the
input data x̃ is mapped to the hidden feature h through the encoder, and Equation (5) is a decoding
Sensors 2019, 19, 1168 6 of 19

expression in which the data x 0 is reconstructed from the feature h through the decoder. (In general,
Sigmoid() is used as an activation function in autoencoders. In this paper, however, Leaky ReLU ()
is used instead of Sigmoid() for better performance. See Section 5.1 for details.) In θ = {W, b} and
θ 0 = {W 0 , b0 } of Equations (4) and (5), W and W 0 represent weights, while b and b0 represent biases.

h = f θ ( x̃ ) = Sigmoid(W x̃ + b) (4)
0 0 0
x = gθ 0 (h) = Sigmoid(W h + b ) (5)

In general, the loss function L() of the denoising autoencoder model is set to the squared error
between the reconstructed data x 0 and the original data x, as shown in Equation (6), which is usually
averaged over some input training set. Equation (6) corresponds to the reconstructed error in Figure 2.
Then, the model is optimized so that the loss function can be minimized, as in Equation (7), where x (i)
and x 0(i) denote the ith elements of x and x 0 , respectively.

L( x, x 0 ) = || x − x 0 ||2 (6)
n
1
θ ∗ , θ 0∗ = arg min
n ∑ L(x(i) , x0(i) ) (7)
θ,θ 0 i =1

In this paper, the denoising autoencoder model is trained to estimate the original input data
under various noise settings, which is then used to compute the measurement noise variance for
Kalman filtering.

3. Kalman Filtering Using the Recommended Measurement Noise Variance

In general, the input data to Kalman filtering contains various noise depending on the performance
of the measuring device, and thus there is a difference between the input data and the original data.
That is, Kalman filtering receives the sensor data, which are a mixture of the original data and the
device noise. To accurately filter the noise with a Kalman filter, one needs to know the variance of the
added noise in the measurement process, which is called the measurement noise variance R. If the
measuring device itself provides noise information, the user may use the information for Kalman
filtering. In actual streaming environments, however, it is very difficult for ordinary users to obtain this
noise information from the complicated device configuration, in which case they need to determine
the measurement noise variance based on their experience. If the variance R chosen based on the
user’s experience is close to the actual noise variance of the sensor device, then the filtering accuracy
might be relatively high, but otherwise the accuracy would be greatly degraded. As a result, to obtain
more accurate filtering results, it is better to use an analytical method that estimates the noise variance
directly from the sensor data rather than using an experience-based arbitrary method.
Figure 3 shows how the measurement noise variance is determined in the conventional Kalman
filtering and the proposed framework. The AS-IS in the figure represents the experiential method
where the user determines the measurement noise variance R based on the experience. Due to lack of
device noise information, the user experientially determines the noise parameter by investigating the
measured sensor data. In contrast, the TO-BE in the figure represents the proposed analytical method
that recommends the measurement noise variance R by analyzing the sensor data. The measurement
noise variance is the variance of the noise contained in the input data, and the analytical method
obtains the variance by comparing the actual sensor data containing the noise and the estimated
data from which the noise is removed. Thus, in the analytical method, one important issue is how to
estimate the original data from the noisy sensor data. For this, transform-based and learning-based
methods are proposed. First, the transform-based method uses wavelet transforms, which are widely
used for removing the noise from numeric sequence data, and using these transforms the original data
can be estimated by removing the noise from the sensor data. Second, the learning-based method uses
Sensors 2019, 19, 1168 7 of 19

denoising autoencoders, which are also used for removing the noise from the sequence data, and the
original data can be estimated by training a neural network model over the sensor data.

Figure 3. Decision process of the measurement noise variance R in existing and proposed methods.

Algorithm 1 shows a generic structure of Kalman filtering using the proposed analytical method.
It takes as input a data stream S which is partitioned into a set of data sequences T1 , T2 , . . . , Tn where
each sequence Ti is of size w. For each step, the Ti sequence is used to estimate the measurement
noise variance R which is then used in Kalman filtering of the next Ti+1 sequence. By computing the
measurement noise variance from Ti and applying the Kalman filter to the same Ti using the previously
computed variance in parallel, Algorithm 1 can easily be applied in streaming environments with
a computational cost bounded only by the complexity of the Kalman filter. Specifically, on Line (2),
the first w entries of the input S are stored into S0 as it is, since the measurement noise variance is
not estimated yet. On Line (4), the current w entries of the input S are exploited to determine the
measurement noise variance R by applying a given analytical function f R (). As mentioned above,
either a wavelet transform or a denoising autoencoder can be used as the function f R (). On Line (6),
the Kalman filter is applied to the next w entries using the recommended variance R and the result is
stored into S0 . The steps on Lines (4)–(6) are repeated until the end of the input is reached. Finally,
on Line (8), the newly constructed sequence S0 is returned as the filtered sequence.

Algorithm 1 Kalman filtering using the recommended measurement noise variance.

Input:
S[1 : length]: a numeric sequence of sensor data;
f R (): a function for a measurement noise variance recommendation;
w: a window size used for computing the measurement noise variance;
Output:
S0 [1 : length]: a filtered sequence by the Kalman Filter;
begin
(1) i := 1
(2) S0 [1 : w] := S[1 : w]; // Use the first w entries of S for S0 as it is.
(3) while i + w − 1 ≤ length do
(4) R := f R (S[i : i + w − 1]); // Determine R by using the w entries.
(5) i := i + w; // Increase i by w.
(6) S0 [i : i + w − 1] := KalmanFilter(S[i : i + w − 1], R);
// Adjust the next w entries by applying R to the Kalman filter.
(7) end
(8) return S0 [1 : length];
end
Sensors 2019, 19, 1168 8 of 19

4. Measurement Noise Variance Recommendation Methods

This section describes in detail our measurement noise variance recommendation methods.
The measurement noise variance recommendation mainly consists of two steps: the original data
estimation step and the measurement noise variance calculation step. In particular, in the original data
estimation step, a transform-based method and a learning-based method are proposed.

4.1. Wavelet Transform-Based Measurement Noise Variance

Figure 4 illustrates the steps of estimating R in the wavelet transform-based method. It consists
of four steps: (1) applying a wavelet transform; (2) choosing a few energy-concentrated coefficients;
(3) performing the inverse wavelet transform; and (4) calculating the measurement noise variance R
from the sensor and recovered data. More specifically, in Step (1), it applies a wavelet transform to the
input sensor data S of length n. The wavelet-transformed sequence Swt contains wavelet coefficients
having frequency information of the input sequence S. In Step (2), it takes the first f ( n) coefficients
only and sets the remaining coefficients to 0. In Step (3), it estimates the noise-removed original
sequence S0 by applying the inverse wavelet transform to the high frequency sequence Swt . Finally,
in Step (4), it determines R by calculating the variance between the input sequence S and the recovered
sequence S0 . A discussion of the accuracy of the noise estimated in this way can be found in [10].

Figure 4. Measurement noise variance estimation using a wavelet transform.

Algorithm 2 shows the pseudocode of Figure 4. The inputs are sensor data Ssensor and a number f
of wavelet coefficients to be selected, and the output is R. On Line (1), it applies a wavelet transform to
Ssensor and obtains Swt having frequency coefficients. On Line (2), it discards low energy coefficients
by setting them to 0 and takes only high energy coefficients. On Line (3), it estimates the original
sequence Sestimate by applying the inverse wavelet transform to Swt . Since noise coefficients from
Swt are removed, Sestimate is expected to have less noise. On Line (4), it calculates R from Ssensor and
Sestimate , and finally on Line (5), it returns R as the measurement noise variance.

Algorithm 2 f WT (): Measurement noise variance by wavelet transform.

Input:
Ssensor : a numeric sequence of sensor data, (n = |Ssensor |);
f : the number of wavelet coefficients to be selected;
Output:
R: measurement noise variance of Ssensor ;
begin
(1) Swt := WaveletTransform(Ssensor );
(2) Swt := Concatenate(Swt [1 : f ],Array.zeros(n − f )); // Take high energy coefficients.
(3) Sestimate := InverseWaveletTransform(Swt );
(4) R := CalculateVAR(Ssensor , Sestimate ); // Calculate the variance between two sequences.
(5) return R;
end
Sensors 2019, 19, 1168 9 of 19

4.2. Denoising Autoencoder-Based Measurement Noise Variance

Figure 5 illustrates the steps of the denoising autoencoder-based method. Unlike the previous
transform-based method, this learning-based method first performs a preprocessing step to train
a denoising autoencoder model, which is called DAEmodel in this paper. As shown in the figure,
the method consists of three steps: (0) training DAEmodel in the preprocessing step; (1) estimating the
original sequence by using the trained DAEmodel; and (3) calculating the measurement noise variance R.
More specifically, in Step (0), it trains DAEmodel using a given training set Θ of sensor data Ti . Note that
this preprocessing step is performed just once. In Step (1), it estimates the original sequence S0 by
applying the input sensor data S to DAEmodel. In Step (2), it calculates the measurement noise variance
R from two sequences S and S0 . In this learning-based method, how the denoising autoencoder is
configured is important, and the model configuration is discussed in detail in Section 5.1.

Figure 5. Measurement noise variance estimation using a denoising autoencoder.

Algorithm 3 shows the pseudocode of Figure 5. The inputs are a training set Θ and an input
sensor data Ssensor , and the output is R. It is assumed that the training set Θ consists of m sequences
T1 , T2 , . . . , Tm , which are collected from previously accumulated sensor data. Unlike Algorithm 2,
Algorithm 3 does not require additional input parameters such as f , but it instead requires a training set
in the preprocessing step. In practice, to build a training set from noise-corrupted sensor data, one may
exploit autoencoders or other unsupervised denoising techniques in the preprocessing step. (Although
the training data obtained by unsupervised denoising techniques are not necessarily the same as
the original data, a denoising autoencoder can still be trained to produce a high-level representation
that is robust to various noise and able to estimate the original data fairly accurately.) In Step (0),
it obtains a denoising autoencoder model, DAEmodel, using the input training set Θ. Once this training
step is completed, DAEmodel plays a role of removing noise from the input sequence data, and it can
repeatedly be used in the next subsequent steps. In Step (1), it applies the input sensor data Ssensor to
the trained DAEmodel and estimates the noise-removed original sequence Sestimate . In Steps (2) and (3),
the variance is computed and returned as R.

Algorithm 3 f DAE (): Measurement noise variance by denoising autoencoder.

Input:
Θ = { T1 , T2 , . . . , Tm }: a training set of m sensor data;
Ssensor : a numeric sequence of input sensor data;
Output:
R: measurement noise variance of Ssensor ;
begin
(0) DAEmodel := TrainModel(Θ);
// Build a denoising autoencoder model in the preprocessing step.
(1) Sestimate := ApplyModel(Ssensor , DAEmodel);
(2) R := CalculateVAR(Ssensor , Sestimate ); // Calculate the variance between two sequences.
(3) return R;
end
Sensors 2019, 19, 1168 10 of 19

5. Experimental Evaluation
This section experimentally evaluates the filtering and estimation accuracy of the proposed
methods. Section 5.1 explains experimental data and parameter settings. Then, the experimental
results are presented in Sections 5.2 and 5.3.

5.1. Experimental Setup

In the experiment, two accuracy measures were evaluated: (1) Kalman filtering accuracy; and
(2) noise variance estimation accuracy. First, the Kalman filtering accuracy experiment compared
the existing experiential Kalman filtering and the proposed analytical approach. Next, the noise
variance estimation accuracy experiment compared the actual noise variance of the sensor data and
the measurement noise variance estimated by each of the proposed methods.
The hardware platform was a workstation equipped with Intel R
CoreTM i5-2400 CPU 3.10 GHz,
16 GB RAM, and 128 GB SSD. For the learning process of the denoising autoencoder method, GPU of
NVIDIA GeForce GTX 970 with 4 GB was used. The software platform was the Windows 10 operating
system, and the development and execution environment was IntelliJ IDEA and Anaconda 4.4.8. As the
experimental data, household power consumption data were used, which were obtained from the
UCI machine learning repository [32]. The power consumption data consist of 2,075,259 measurement
values collected every minute from December 2006 to November 2010 for 47 months. Figure 6 shows
an example part of the experimental data: Figure 6a for power data and Figure 6b for voltage data.

Figure 6. An example part of power consumption data used in the experiment.

In the experiment, these power and voltage data, such as in Figure 6, were regarded as
original data. The input sensor data to the Kalman filter were then obtained by adding Gaussian
white noise to these original data, since it is a good approximation of many real-world environments.
More precisely, the noise data were generated from the original data using the normal distribution
with the standard deviation σ × n/100 for various n where σ is the standard deviation of the original
data, as shown in Equation (8).



O : original data
( 
O ∼ N mean, σ2


σ : standard deviation of O
, where (8)
X ∼ N (0, σ × n/100)2




 X : noise data to be added to O

σ × n/100 : standard deviation of X


The proposed measurement noise variance recommendation methods require sequence data of
a certain length. Thus, the sensor data were divided into sequences of lengths 512, 1024, and 2048,
and these three types of sequences were used in the experiment. More specifically, given a stream
T1 , T2 , . . . , Tn of sequence data, the Ti sequence data were used to estimate the measurement noise
variance R using the proposed methods, and then R was exploited when the Kalman filter was applied
Sensors 2019, 19, 1168 11 of 19

to the Ti+1 sequence data. The wavelet transform-based method used FWT (fast wavelet transform) [36]
as the wavelet function and Daubechies-4 [37] as the basis function since they are the most commonly
used wavelets. Other wavelets can also be used. The number f of wavelet coefficients was set to 128,
256, and 512, i.e., 1/4 of the sequence lengths, respectively.
In the denoising autoencoder-based method, first, DAEmodel was built using a training set.
For this, 12,000 sequences of lengths 512, 1024, and 2048 were constructed from the original data,
which were then divided into training data of 7200 sequences, validation data of 2400 sequences,
and test data of 2400 sequences. The training process needs to input noise-added sequences
into DAEmodel rather than original sequences. Thus, for each learning iteration, input sequences
were generated by adding various noise values with arbitrary standard deviations to the original
sequences. Then, DAEmodel was trained using these noise-added input sequences. Figure 7 shows
an example of original and input sequences: Figure 7a shows an original sequence before adding
noise, and Figure 7b,c shows different input sequences provided to DAEmodel. As shown in the figure,
input sequences for each epoch were changed, and accordingly, various noise values could be reflected
to DAEmodel.

Figure 7. An example of training data used for each learning epoch.

Figure 8 shows the structure of the denoising autoencoder used in the experiment. As shown
in the figure, the model had a symmetric structure of an encoder and a decoder, where the encoder
consisted of two convolution layers and two pooling layers, and the decoder consisted of three
transpose-convolution layers. Each convolution layer in the encoder used 1 × 5 filters to extract
various feature vectors, and each transpose-convolution layer in the decoder also used 1 × 5 filters to
reduce and summarize feature vectors. As an activation function between layers, Leaky ReLU () (leaky
rectified linear unit) [38] was used. Besides Leaky LeRU, other activation functions such as Sigmod()
and tanh() were tested, but Leaky ReLU () showed the best result in terms of filtering accuracy. Table 1
shows the hyperparameters used for training the model. As shown in the table, the learning rate was
set to 0.01, the batch size to 200, and the optimizer to Adam. The number of epochs was set to 500
since the loss, the difference between original and reconstructed data, converged at around 500 epochs.
Sensors 2019, 19, 1168 12 of 19

With this setup, one complete naïve training for power data using fixed values of parameters took
about 6.75 h when only CPU was used and about 4.5 h when GPU was used (similarly for voltage
data). During the training, the best DAEmodel, which gave the best performance for validation data,
was chosen and used in the subsequent experiments. The result on measurement noise variance
estimation presented in Section 5.3 can be thought of as the result of applying DAEmodel to test data.
The result of applying DAEmodel to validation data is not presented since it was used in choosing
the best model and thus the result for validation data is better than the result for test data, which are
unseen by the model during training.

Table 1. Hyperparameters used for training the denoising autoencoder.

Parameter Value Remark

Learning rate 0.01 A value which determines how much the weights of the model are adjusted.
Batch size 200 The number of training sequences used in each iteration.
Optimizer Adam An algorithm used to update the weights of the model.
# of epochs 500 An epoch is one complete presentation of the entire training data to the model.

Figure 8. The detailed structure of the denoising autoencoder used in the experiment.

5.2. Accuracy Evaluation of Kalman Filtering

This section presents the filtering accuracy of the experiential and analytical methods. Specifically,
the Kalman filter was applied to power and voltage data using the measurement noise variance
estimated by the proposed methods. For each method, the Euclidean distance [16,39] between the
original data and the filtered data was calculated and regarded as the filtering accuracy of the method.
For the experiential method, the measurement noise variance R for each sequence of data was set to an
arbitrary value between 0 and 30 × σ, where σ is the standard deviation of the original data.
Table 2 and Figure 9 show the experimental result on power data. Table 2 shows the filtering
accuracy of each method for different sequence lengths, and Figure 9 shows the filtering accuracy
improvement rate of the proposed analytical methods compared to the experiential method. In the
experiment, input data were generated from the original data by adding noise with a standard
deviation of 20%, 40%, 60%, 80%, and 100% of the standard deviation of the original data, respectively,
using Equation (8). The same experiment was repeated 10 times and their average was used as the
result. In particular, the result of the experiential method can be thought of as an average performance
of choosing an arbitrary value for the measurement noise variance. In Table 2 and Figure 9, EXP, WT,
and DAE denote Kalman filtering using the experiential method, the wavelet transform-based method,
and the denoising autoencoder-based method, respectively.
Sensors 2019, 19, 1168 13 of 19

Table 2. Filtering accuracy on power data of different sequence lengths. The boldface numbers denote
the best value in each experiment.

Sequence Length = 512 Sequence Length = 1024 Sequence Length = 2048

Noise
EXP WT DAE EXP WT DAE EXP WT DAE
20% 871.7 368.0 343.4 869.5 367.6 342.5 866.5 366.3 341.8
40% 874.4 486.1 484.8 874.6 485.1 484.0 875.6 484.4 483.6
60% 875.7 575.3 580.5 879.0 574.4 579.7 882.3 573.9 579.4
80% 887.1 646.3 653.5 884.1 645.7 652.9 883.1 645.2 652.6
100% 894.3 704.5 712.2 895.5 704.0 711.7 893.7 703.6 711.4

Figure 9. Filtering accuracy improvement on power data of different sequence lengths.

As shown in Table 2, the Euclidean distances of the proposed methods WT and DAE were much
shorter than those of the experiential method EXP. This means that the analytical methods performed
more accurate noise filtering than the experiential method. In Figure 9, the proposed methods of
analytically estimating the measurement noise variance improved the filtering performance up to
2.5 times higher than the experiential method of using arbitrary noise variance. In particular, DAE was
the best when the noise was added with a standard deviation of 20–40% of the standard deviation
σ of the original data, and WT was the best when the noise was added with a standard deviation of
above 60% of σ. This was partly because the denoising autoencoder was trained well for low noise
variance cases, while it was not for high noise variance cases. To solve this problem, more layers could
be used in the neural network model or different activation functions could be tried. However, since
WT already showed sufficiently high performance, further optimization for DAE is left as a future study.
Table 3 and Figure 10 show the filtering accuracy result on voltage data. Similar to the power data,
WT and DAE outperformed EXP. As shown in Figure 10, WT and DAE improved filtering performance
up to 1.5 times higher than EXP. In particular, WT showed better performance than DAE in all cases.
This was because WT was not much influenced by absolute values of noises, while the neural network
of DAE was not well trained because of the large noise values. Specifically, the average of voltage data
was about 241, which was much larger than 1.09, the average of power data. As explained above,
the performance of DAE might be improved by using more layers and different activation functions.
Sensors 2019, 19, 1168 14 of 19

Table 3. Filtering accuracy on voltage data of different sequence lengths.

Sequence Length = 512 Sequence Length = 1024 Sequence Length = 2048

Noise
EXP WT DAE EXP WT DAE EXP WT DAE
20% 2391 1527 1642 2390 1526 1599 2378 1524 1585
40% 2395 1707 1777 2395 1707 1749 2386 1705 1740
60% 2407 1823 1873 2408 1823 1853 2408 1821 1846
80% 2416 1908 1946 2408 1907 1930 2414 1906 1924
100% 2428 1981 2012 2422 1983 1999 2422 1979 1994

Figure 10. Filtering accuracy improvement on voltage data for different sequence lengths. The boldface
numbers denote the best value in each experiment.

Figure 11 shows example results of applying the Kalman filter to power and voltage data. In this
figure, the input power (respectively, voltage) data to the Kalman filter were obtained by adding
noise to the original power (respectively, voltage) data with a standard deviation of 60% (respectively,
20%) of that of the original data. As with the aforementioned experimental results, the Kalman filter
produced a better result when using the measurement noise variance estimated by either the wavelet
transform-based or the denoising autoencoder-based method than the experiential method, and the
filtering performances of WT and DAE were comparable to each other.
Table 4 shows the average computation time of WT and DAE taken to estimate the measurement
noise variance for power and voltage data. Note that the unit is millisecond. As shown in the table,
both WT and DAE computed the measurement noise variance instantly, although DAE was slightly faster
than WT. For example, after 512 data were accumulated, the wavelet transform (or the denoising
autoencoder) was invoked and the computation of the measurement noise variance for power data was
finished in 9.32 ms (or 2.14 ms) on average. This result implies that the performance of our methods
depended only on the performance of Kalman filtering. Moreover, although both power and voltage
data were sampled every minute, the sampling frequency was not relevant to the performance of the
proposed methods. Indeed, even if data were sampled every second or every 100 ms, our methods
Sensors 2019, 19, 1168 15 of 19

would still work well. That is, the proposed methods could also be applied to other typical signals
such as a sinusoidal signal, with a similar performance result.

Table 4. Average computation time (ms) for the measurement noise variance estimation.

Power Data Voltage Data

Sequence Length
WT DAE WT DAE
512 9.32 2.14 9.46 2.20
1024 18.68 2.58 19.17 2.80
2048 37.25 3.64 36.08 3.71

Figure 11. Example results of Kalman filtering.

5.3. Accuracy Evaluation of Measurement Noise Variance Estimation

The proposed methods were evaluated for how accurately they estimated the measurement noise
variance R. The data and parameters used in the experiment were the same as presented in Section 5.2.
Table 5 shows the experimental results obtained by estimating R with the proposed methods in the
power data and comparing it with the actual noise variance. In the table, Rreal means the variance
of the actual noise embedded in the original power data, and RWT and R DAE are the measurement
noise variance estimated by WT and DAE, respectively. The experiments compared how similar RWT and
R DAE were to Rreal . Simply speaking, the smaller was the difference between Rreal and the estimated
measurement noise variance, the higher was the estimation accuracy.

Table 5. Measurement noise variance accuracy on power data of different sequence lengths.
The boldface numbers denote the best value in each experiment.

Sequence Length = 512 Sequence Length = 1024 Sequence Length = 2048

Noise
Rreal RW T R DAE Rreal RW T R DAE Rreal RW T R DAE
20% 0.045 0.071 0.050 0.045 0.071 0.050 0.045 0.070 0.050
40% 0.179 0.172 0.169 0.179 0.171 0.169 0.179 0.171 0.169
60% 0.402 0.340 0.373 0.402 0.340 0.373 0.402 0.339 0.373
80% 0.715 0.575 0.662 0.715 0.574 0.662 0.715 0.574 0.664
100% 1.118 0.876 1.039 1.118 0.876 1.040 1.118 0.876 1.041

Table 5 shows that DAE estimated the measurement noise variance most accurately, except when
the added noise was 40% of the original standard deviation σ. However, these results were somewhat
different from those of the Kalman filtering accuracy in Table 2. For example, when the sequence
length was 512 and the standard deviation of the noise was 40% of σ, DAE was the best in the filtering
Sensors 2019, 19, 1168 16 of 19

accuracy, as shown in Table 2, but WT was the best in the measurement noise variance estimation,
as shown in Table 5. These two accuracy results are different due to the other parameters of Kalman
filtering in addition to the measurement noise variance, i.e., not only the measurement noise variance
but also other input parameters such as the process noise variance and transition matrices greatly
affect the filtering accuracy of the Kalman filter. Therefore, if these values were appropriately adjusted
to the sensor data, the filtering performance would also be equal or similar to the noise variance
estimation result.
Table 6 shows the measurement noise variance estimation result on the voltage data. As shown in
the table, RWT was the most similar to Rreal when the standard deviation of the noise was 20% and
40% of σ, while R DAE was the most similar to Rreal when the standard deviation of the noise was 60%,
80%, and 100% of σ. As in Tables 2 and 5, the estimation accuracy of the measurement noise variance
was somewhat different from the filtering accuracy in Table 3, and this difference might also result
from the other parameters used in Kalman filtering, as described above.

Table 6. Measurement noise variance accuracy on voltage data of different sequence lengths.
The boldface numbers denote the best value in each experiment.

Sequence Length = 512 Sequence Length = 1024 Sequence Length = 2048

Noise
Rreal RW T R DAE Rreal RW T R DAE Rreal RW T R DAE
20% 0.420 0.502 1.661 0.420 0.497 1.166 0.420 0.495 1.030
40% 1.680 1.446 2.613 1.680 1.442 2.118 1.680 1.439 1.983
60% 3.780 3.018 4.185 3.780 3.014 3.694 3.780 3.012 3.560
80% 6.719 5.227 6.390 6.719 5.223 5.905 6.719 5.223 5.769
100% 10.50 8.059 9.186 10.50 8.057 8.708 10.50 8.058 8.580

Through the experimental results in Sections 5.2 and 5.3, it was confirmed that the proposed noise
variance estimation approach worked correctly and efficiently. In particular, the experimental results
presented in Section 5.3 show that the proposed methods WT and DAE estimated the measurement noise
variance accurately, improving the filtering performance when compared to the existing method EXP.
Thus, it can be concluded that both the transform- and learning-based methods proposed in this paper
are useful for recommending the measurement noise variance in Kalman filtering. More specifically,
WT and DAE provide a high performance compared to EXP; WT has an advantage of being easy to use;
and DAE has an advantage of requiring no additional parameters such as f in WT.
From the perspective of ordinary users, they may use either of the proposed methods to estimate
the measurement noise variance in streaming environments where data are constantly being generated.
However, if few data are available, then WT is more preferable than DAE since DAE generally needs
many data for training and to obtain a better performance. Ordinary users might have some difficulty
in constructing a denoising autoencoder model. However, there are many easy-to-use machine
learning libraries such as TensorFlow (https://www.tensorflow.org/), PyTorch (https://pytorch.org/),
and Keras (https://keras.io/) that provide many built-in models for various applications and ordinary
users may simply use a pre-trained model such as the one presented in this section, still obtaining a
relatively good performance for their application.

6. Conclusions
This paper proposes a novel method of estimating the measurement noise variance, an important
parameter for efficient Kalman filtering. In Kalman filtering, the users need to give the measurement
noise variance as an input parameter to the Kalman filter, but ordinary users have difficulty in
acquiring the detailed noise information from the complicated sensor data. Thus, they often determine
the measurement noise variance experientially or arbitrarily and use it in Kalman filtering, resulting in
a poor filtering performance. To solve this problem of the experiential approach, this paper presents
Sensors 2019, 19, 1168 17 of 19

an analytical approach for estimating the measurement noise variance from the input sensor data.
The basic idea is to estimate the original data from the input sensor data, calculate the noise variance
from these estimated original data and input sensor data, and use the variance as the measurement
noise variance. For this, first, an overall working framework of the analytical approach is presented
and then transform- and learning-based methods are proposed to estimate the original data and
calculate the measurement noise variance. The transform-based method uses a wavelet transform and
the learning-based method uses a denoising autoencoder, which is a special type of neural networks.
Experimental results on real power and voltage data show that the proposed analytical methods
estimated the measurement noise variance accurately, improving the accuracy of Kalman filtering
compared to the experiential method.
There are several research directions for future work. First, although the proposed methods are
general enough to be useful in other contexts, a further investigation is needed to see if they are also
applicable to the multivariate or extended Kalman filter. Second, more quantitative comparisons
with other estimation methods are required to further validate the effectiveness and efficiency of
the proposed methods. Another interesting direction for future work is to consider other noise
environments such as colored noise or noise with non-Gaussian distributions to see if the proposed
methods are robust and flexible enough for various noise environments. It would also be interesting to
conduct further experiments on other real sensor data such as for IoT. Lastly, it is planned to further
optimize the denoising autoencoder model by considering other parameters of Kalman filtering.

Author Contributions: S.P. and M.-S.G. developed and implemented the algorithms, and conducted the
experiments. S.P. and Y.-S.M. wrote the initial draft and H.I. revised the paper. H.I. and Y.-S.M. verified the results
and supervised this research.
Funding: This research was partly supported by the National Research Foundation of Korea (NRF) grant funded
by the Korea government (MSIP) (NRF-2016R1C1B1015095). This research was also partly supported by Korea
Electric Power Corporation (Grant number:R18XA05).
Conflicts of Interest: The authors declare no conflict of interest.

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